混合机制下巨灾风险公共干预模式研究
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摘要
近年来,巨灾事件给人类社会造成了巨大损失。传统保险机制在管理巨灾风险时遇到巨大挑战。尽管私人部门在巨灾风险管理方面尝试了种种小同的创新机制,一定程度上拓展了承保能力,但这并没有从根本上解决私人巨灾市场失灵的问题。当私人部门无法有效管理巨灾风险时,公共部门的干预是一种自然的选择。政府干预能够有效解决私人巨灾市场的问题,并在一定程度上实现社会福利的改进。公共干预的这些效果使得建立公共/私人部门合作的混合巨灾风险管理计划成为管理巨灾风险的一种理想模式,而如何选择有效的公共干预形式,以及如何确立混合巨灾风险管理计划中公共和私人部门的风险分担问题是混合巨灾风险管理研究中的核心问题。因此本文采取定性和定量分析相结合,分析巨灾风险管理中不同公共干预形式的效果,以及混合巨灾风险管理计划中的风险分摊问题,以期对建立我国混合巨灾风险管理计划有所贡献。
围绕上述研究议题,本文首先讨论私人部门下巨灾风险的可保性标准问题,总结私人巨灾风险转移的渠道、创新机制,阐述私人巨灾市场失灵现象;其次,本文从供给和需求双方面系统分析私人巨灾市场失灵的原因,论述巨灾风险管理公共干预的重要性和目的所在。继而总结巨灾风险管理中政府不同的干预形式,详细分析不同干预形式的效果及优劣。至此,在前述研究结论的基础上,从理论和实践两个层面探讨混合巨灾风险管理计划的构建,分析公共和私人部门之间的风险分配问题,并特别关注信息不对称的影响;实践方面,考察、比较不同国家的混合巨灾风险管理计划,总结不同组织模式需要的背景条件和一般原则,并最终对建立我国混合巨灾风险管理提出设想和建议。论文的研究及其结论主要可以分为以下几部分:
1.系统总结私人部门的巨灾风险转移机制,提出了私人巨灾市场失灵存在于供给和需求两方面。分析私人巨灾失灵的原因。
提出了相互机制下的事后违约问题,并借鉴Kocherlakota(1996)的重复博弈模型,在一个动态框架下分析了相互机制风险分配的违约风险和退出威胁。研究结论表明:如果参与成员没有足够的远见,就有可能在当期选择违约,且当事后分摊的损失增大时,相互分摊机制存续的可能性就越小,这符合国外巨灾市场的经济现实。
针对近期文献中提出了巨灾风险全球分散的创新思路,指出基于大数定律假设前提的研究的局限性,基于一个稳定分布的研究思路,并借助控制不等式理论,重新研究巨灾的集合分散效应,指出全球分散的不足之处,研究结论在一定程度上解释了私人保险公司不愿主动承担巨灾风险的原因。
在巨灾保险需求方面,总结了巨灾保险需求中的反常现象,提出心理因素是影响巨灾保险需求不足的重要原因。由此在行为金融学的分析框架下,讨论心理因素对巨灾保险需求的影响。通过对相关文献的综述,总结了基于目标的巨灾保险需求决策模式,提出了基于该决策模式的解释思路。
2.分析不同公共干预模式对私人巨灾市场的影响。继续在前述重复博弈的框架下引入政府惩罚机制,讨论了其解决违约问题的效果和对风险分配的影响。结论表明惩罚机制能够有效解决相互分配下的违约风险,实现风险的帕累托优化配置,且不会改变私人部门风险配置的基本原则。
通过一个简单的图形分析框架讨论了财政补贴中保费补贴和管理费补贴两种模式在不同前提下的区别,发现如果采取固定金额的财政补贴,则保费和管理费两种模式没有区别,而如果采用比例补贴,则保费模式要优于管理费模式。
系统总结了文献中关于逆选择市场下的强制保险问题。对于强制保险,综述总结了不同文献中提出的均衡概念,指出了强制保险和自愿附加险结合的方式能够实现M&S均衡。因而是解决巨灾保险需求且不影响私人部门资源分配的有效干预形式。
对于政府救济问题,拓展了Kim & Schlesinger(2005)的研究框架,在考虑政府救济的资金来源的前提下,分析逆选择市场上不同形式的政府救济对巨灾保险市场均衡的影响,提出旨在补贴低收入群体的政府救济原则。
3.在混合巨灾风险管理计划的构建中,提出政府/私人部门之间的风险分担是其成功的关键。借鉴Michel-Kerjan(2006)的分析思路,在期望效用的分析框架下讨论了混合巨灾风险管理计划中政府/私人部门之间的风险分摊问题,提出了基于不同资金成本的保费和风险分配问题。结论表明,在基本的原则上私人部门的分保比例随巨灾保险费率的上升而下降。如果考虑信息不对称的影响,则政府的保费策略依赖于其资金成本。当资金成本上升时,政府可以提高保费也可以降低分保的上限,强制要求私人部门承担更多的风险。
比较不同国家混合巨灾风险管理计划的实践经验,总结不同组织形式需要的背景条件和优缺点,并对建立我国混合巨灾风险管理计划提出建议。
本文的主要创新之处如下:
1.系统分析私人巨灾市场失灵的原因。在供给方面,动态框架下分析了相互原则下的退出机制和巨灾风险的全球分散问题。需求方面,系统总结了基于行为金融视角的保险需求决策。不少研究提到了私人巨灾市场失灵问题,但几乎没有文献系统定量分析私人巨灾市场失灵的原因。本文第三章首次从供给和需求两方面系统论述了私人巨灾市场失灵的原因。在重复博弈的动态框架下发现,成员公司的事后违约和退出是导致相互机制失灵的重要原因。而资本市场不完美、巨灾风险的厚尾特征等等也大大降低了私人部门为巨灾风险提供资金的意愿,影响了私人部门机制创新的实际效果。从行为金融的角度,个人的非理性决策和非经济性质的目标决策模式是导致巨灾保险需求不足的重要原因。
2.总结并定量分析不同公共干预模式对巨灾保险市场的影响,分别分析了惩罚机制、财政补贴模式以及政府救济对巨灾保险市场均衡的影响。继续第三章的博弈模型分析政府惩罚机制对相互分配机制存续性和风险分配形式的影响,发现惩罚机制能够协助实现风险的帕累托最优分配,且分配形式仍然服从相互原则;利用图形分析框架,分别讨论了保费补贴和管理费补贴的差异,发现固定金额的前提下,两种模式没有差异,而如果采用比例补贴模式,保费补贴能起到更好的激励作用。在考虑资金来源的前提下,讨论逆选择市场上政府救助对巨灾保险的替代效应,提出了政府救助和补贴水平的合理区间,选择合理的补贴和救济水平可以实现对低收入人群的补贴,且不影响高收入人群的保险需求。
3.定量分析混合巨灾风险管理计划中公共和私人部门之间的风险分配问题以及信息不对称的作用。本文第五章讨论了混合巨灾风险管理计划的构建问题。与绝大多数定性论述的文献不同,本文通过一个博弈模型讨论了公共和私人部门之间的风险分配问题,特别关注了信号传递对政府保费和风险分担限额策略的作用,同时考虑了政府注资的资金成本对混合巨灾风险管理计划中两部门风险分摊结果的影响。在仅考虑商业保险和公共部门的前提下,如果资金成本足够低,则政府应该制定低费率,而当资金成本上升时,政府可以提高保费也可以降低商业保险公司风险转移的上限,以确保私人部门风险承担比例。
Catastrophe risk has brought great losses to the world, and the traditional insurance mechanism is now facing great challenges in managing catastrophe risk. Although the private sector has tried to develop several of innovations in order to expand the insurance coverage, but they don't solve such dilemmas of private catastrophe market failure. Such failures have led to the discussion of public intervention of catastrophe risk management which is a natural choice when private market can not solve the problem by itself. The public-private cooperation is an efficient way to manage catastrophe risks. How to make the correct decisions from different options of public intervention, together with the risk sharing between the two public and the private sectors are the key successful issues of the integrated catastrophe risk management. Under such background, this thesis analyzes the results of different public interventions in catastrophe risk management, as well as the risk sharing between the public and the private sectors in the integrated catastrophe risk management, and hopes it can give some insights to the organization of the catastrophe risk management mechanism in China.
This thesis firstly discusses the insurability standards of catastrophe risks, concludes the risk transfer channels in private catastrophe risk market as well as its' innovations, and the phenomena of private catastrophe insurance market failure. It then analyzes reasons leading to the private catastrophe market failure from both supply and demand sides, so as to interpret the importance of public intervention. The second section of the thesis then focuses on the results of various public interventions using economic analysis, and the optimal risk sharing between the public and private sectors. After the theoretical analysis, the thesis then compares public-private catastrophe risk management models of different countries in the practice, concludes the conditions for different forms of models. The last section then gives some advices to the integrated catastrophe risk management in China. The main contents of the thesis are as follows:
1. Systematically sums up the risk transfer mechanisms of private sector catastrophe, and points out that private catastrophe market failure exits in both supply and demand sides. In the analysis of the reasons for the private catastrophe failure, the thesis discusses the ex post default in mutual principle under a dynamic framework by the repeat game model of Kocherlakota (1996) . Our results show that if the members are myopic, then the mutual firm may not be able to exit, and its probability of existence decreases with the lossest the members should pay after the catastrophe event. These results corresponds the economic reality in the catastrophe market.
The work points out the limitations of the research of the global diversification of catastrophes based on the law of large numbers. It then reanalyzes the cross section diversification of catastrophes under a frame work of stable distribution and majorization theory. The results find out the limitation of cross section diversification among independent catastrophe risks and partly explain why private insurance firms do not want to offer catastrophe coverage.
On the demand side, the thesis sums up the anomalies at the catastrophe demand side, and give the argument that psychological issues are key factors affecting the catastrophe insurance demand. It then shows a framework of behavioral economy, and sums up a target decisions process. It argues that such a decision making process can explain anomalies during catastrophe insurance demand to some extent.
2. Thesis analyzes the influence of different public interventions on the private catastrophe insurance market. Still under the framework of repeat game model in private section, it analyzes the role of public punishment in the existence of mutual principle, and the results show that public punishment can help to solve the default risk under mutual principle without affect the optimal risk allocation in the private catastrophe market.
The discussion of government subsidiary shows that there is no difference between premium subsidiary and management fees subsidiary. But when the subsidiary is a proportion of the premium, then the form of premium subsidiary takes advantage of the form of management fees.
It systematically sums up the compulsory insurance under the market with adverse selection. It gives the different equilibrium under adverse selection, and shows that the combination of compulsory insurance and private addition coverage can lead to the M&S Subsidiary equilibrium. Compulsory insurance is the effective way to solve the catastrophe insurance demand and without changing the Pareto risk allocation of private insurance sectors.
As for the government relief, the thesis expand the research of Kim & Schlesinger in 2005 by analyzing the effect of government relief on the market equilibrium with adverse selection considering the resources and costs of government funds, and found the basic principle of government relief which aims at helping those with low incomes.
3. In the research of the organization of integrated catastrophe risk management, the thesis arguments that risk sharing between public and private sectors is the key successful factor of the whole mechanism. The thesis follows the way of Michel-Kerjan (2006) , considers the optimal risk sharing in the integrated catastrophe risk management in an expected utility framework. The results show that the optimal decision depends on funding cost of the government. When the cost increases, the government can increase the premium or decrease the upper limit of the private sectors' risk transfer to force the private sector to share more risk.
After comparing various integrated catastrophe insurance pool in different countries, the thesis gives some advices to the organization of Chinese catastrophe insurance pool.
The main innovations of the thesis are as follows:
1. Systematic analysis of the reasons of private catastrophe market failure. Many articles have mentioned the private catastrophe market failure, but very few of them die the work of systematic and quantitative analysis of it's reasons. The third section of the thesis is the first to analyze the reasons of private catastrophe market from both supply and demand sides. On the supply side, the thesis discusses the ex post default and exit threats of the mutual principle using a repeated game model, and then analyzes the limitation of global diversification of catastrophe risks under a framework of stable distribution.
2. Sums up the effect of various public interventions on the catastrophe insurance e market. Almost all the articles in China are focusing on the efficiency comparison of government relief and the ex ante financing of catastrophe risks by catastrophe risk pool, but none of them have discussed the effects and efficiency of various public interventions using quantitative methods. The fourth section of the work firstly sums up the (dis) advantages of various public interventions, and then analyzes the effects and efficiency of those interventions. Continuing the repeated game model in the third section, it discusses the effect government punishment on the market equilibrium and risk sharing in the mutual principle. It then analyzes the efficiency of different financial subsidiaries as well as the effect of government relief on the catastrophe insurance market with adverse selection.
3. The analysis of optimal risk sharing between public and private sectors in the integrated catastrophe risk pool. As the key factor of integrated catastrophe risk pool is the reasonable risk sharing between government and private sectors, the fifth section of the thesis discusses above question in a model with game theory. The quantitative method is the most important improvement of this thesis in comparison with other articles in this area; the model especially focuses on the impact of information on the optimal risk allocation as well as the role of funding cost of the government.
围绕上述研究议题,本文首先讨论私人部门下巨灾风险的可保性标准问题,总结私人巨灾风险转移的渠道、创新机制,阐述私人巨灾市场失灵现象;其次,本文从供给和需求双方面系统分析私人巨灾市场失灵的原因,论述巨灾风险管理公共干预的重要性和目的所在。继而总结巨灾风险管理中政府不同的干预形式,详细分析不同干预形式的效果及优劣。至此,在前述研究结论的基础上,从理论和实践两个层面探讨混合巨灾风险管理计划的构建,分析公共和私人部门之间的风险分配问题,并特别关注信息不对称的影响;实践方面,考察、比较不同国家的混合巨灾风险管理计划,总结不同组织模式需要的背景条件和一般原则,并最终对建立我国混合巨灾风险管理提出设想和建议。论文的研究及其结论主要可以分为以下几部分:
1.系统总结私人部门的巨灾风险转移机制,提出了私人巨灾市场失灵存在于供给和需求两方面。分析私人巨灾失灵的原因。
提出了相互机制下的事后违约问题,并借鉴Kocherlakota(1996)的重复博弈模型,在一个动态框架下分析了相互机制风险分配的违约风险和退出威胁。研究结论表明:如果参与成员没有足够的远见,就有可能在当期选择违约,且当事后分摊的损失增大时,相互分摊机制存续的可能性就越小,这符合国外巨灾市场的经济现实。
针对近期文献中提出了巨灾风险全球分散的创新思路,指出基于大数定律假设前提的研究的局限性,基于一个稳定分布的研究思路,并借助控制不等式理论,重新研究巨灾的集合分散效应,指出全球分散的不足之处,研究结论在一定程度上解释了私人保险公司不愿主动承担巨灾风险的原因。
在巨灾保险需求方面,总结了巨灾保险需求中的反常现象,提出心理因素是影响巨灾保险需求不足的重要原因。由此在行为金融学的分析框架下,讨论心理因素对巨灾保险需求的影响。通过对相关文献的综述,总结了基于目标的巨灾保险需求决策模式,提出了基于该决策模式的解释思路。
2.分析不同公共干预模式对私人巨灾市场的影响。继续在前述重复博弈的框架下引入政府惩罚机制,讨论了其解决违约问题的效果和对风险分配的影响。结论表明惩罚机制能够有效解决相互分配下的违约风险,实现风险的帕累托优化配置,且不会改变私人部门风险配置的基本原则。
通过一个简单的图形分析框架讨论了财政补贴中保费补贴和管理费补贴两种模式在不同前提下的区别,发现如果采取固定金额的财政补贴,则保费和管理费两种模式没有区别,而如果采用比例补贴,则保费模式要优于管理费模式。
系统总结了文献中关于逆选择市场下的强制保险问题。对于强制保险,综述总结了不同文献中提出的均衡概念,指出了强制保险和自愿附加险结合的方式能够实现M&S均衡。因而是解决巨灾保险需求且不影响私人部门资源分配的有效干预形式。
对于政府救济问题,拓展了Kim & Schlesinger(2005)的研究框架,在考虑政府救济的资金来源的前提下,分析逆选择市场上不同形式的政府救济对巨灾保险市场均衡的影响,提出旨在补贴低收入群体的政府救济原则。
3.在混合巨灾风险管理计划的构建中,提出政府/私人部门之间的风险分担是其成功的关键。借鉴Michel-Kerjan(2006)的分析思路,在期望效用的分析框架下讨论了混合巨灾风险管理计划中政府/私人部门之间的风险分摊问题,提出了基于不同资金成本的保费和风险分配问题。结论表明,在基本的原则上私人部门的分保比例随巨灾保险费率的上升而下降。如果考虑信息不对称的影响,则政府的保费策略依赖于其资金成本。当资金成本上升时,政府可以提高保费也可以降低分保的上限,强制要求私人部门承担更多的风险。
比较不同国家混合巨灾风险管理计划的实践经验,总结不同组织形式需要的背景条件和优缺点,并对建立我国混合巨灾风险管理计划提出建议。
本文的主要创新之处如下:
1.系统分析私人巨灾市场失灵的原因。在供给方面,动态框架下分析了相互原则下的退出机制和巨灾风险的全球分散问题。需求方面,系统总结了基于行为金融视角的保险需求决策。不少研究提到了私人巨灾市场失灵问题,但几乎没有文献系统定量分析私人巨灾市场失灵的原因。本文第三章首次从供给和需求两方面系统论述了私人巨灾市场失灵的原因。在重复博弈的动态框架下发现,成员公司的事后违约和退出是导致相互机制失灵的重要原因。而资本市场不完美、巨灾风险的厚尾特征等等也大大降低了私人部门为巨灾风险提供资金的意愿,影响了私人部门机制创新的实际效果。从行为金融的角度,个人的非理性决策和非经济性质的目标决策模式是导致巨灾保险需求不足的重要原因。
2.总结并定量分析不同公共干预模式对巨灾保险市场的影响,分别分析了惩罚机制、财政补贴模式以及政府救济对巨灾保险市场均衡的影响。继续第三章的博弈模型分析政府惩罚机制对相互分配机制存续性和风险分配形式的影响,发现惩罚机制能够协助实现风险的帕累托最优分配,且分配形式仍然服从相互原则;利用图形分析框架,分别讨论了保费补贴和管理费补贴的差异,发现固定金额的前提下,两种模式没有差异,而如果采用比例补贴模式,保费补贴能起到更好的激励作用。在考虑资金来源的前提下,讨论逆选择市场上政府救助对巨灾保险的替代效应,提出了政府救助和补贴水平的合理区间,选择合理的补贴和救济水平可以实现对低收入人群的补贴,且不影响高收入人群的保险需求。
3.定量分析混合巨灾风险管理计划中公共和私人部门之间的风险分配问题以及信息不对称的作用。本文第五章讨论了混合巨灾风险管理计划的构建问题。与绝大多数定性论述的文献不同,本文通过一个博弈模型讨论了公共和私人部门之间的风险分配问题,特别关注了信号传递对政府保费和风险分担限额策略的作用,同时考虑了政府注资的资金成本对混合巨灾风险管理计划中两部门风险分摊结果的影响。在仅考虑商业保险和公共部门的前提下,如果资金成本足够低,则政府应该制定低费率,而当资金成本上升时,政府可以提高保费也可以降低商业保险公司风险转移的上限,以确保私人部门风险承担比例。
Catastrophe risk has brought great losses to the world, and the traditional insurance mechanism is now facing great challenges in managing catastrophe risk. Although the private sector has tried to develop several of innovations in order to expand the insurance coverage, but they don't solve such dilemmas of private catastrophe market failure. Such failures have led to the discussion of public intervention of catastrophe risk management which is a natural choice when private market can not solve the problem by itself. The public-private cooperation is an efficient way to manage catastrophe risks. How to make the correct decisions from different options of public intervention, together with the risk sharing between the two public and the private sectors are the key successful issues of the integrated catastrophe risk management. Under such background, this thesis analyzes the results of different public interventions in catastrophe risk management, as well as the risk sharing between the public and the private sectors in the integrated catastrophe risk management, and hopes it can give some insights to the organization of the catastrophe risk management mechanism in China.
This thesis firstly discusses the insurability standards of catastrophe risks, concludes the risk transfer channels in private catastrophe risk market as well as its' innovations, and the phenomena of private catastrophe insurance market failure. It then analyzes reasons leading to the private catastrophe market failure from both supply and demand sides, so as to interpret the importance of public intervention. The second section of the thesis then focuses on the results of various public interventions using economic analysis, and the optimal risk sharing between the public and private sectors. After the theoretical analysis, the thesis then compares public-private catastrophe risk management models of different countries in the practice, concludes the conditions for different forms of models. The last section then gives some advices to the integrated catastrophe risk management in China. The main contents of the thesis are as follows:
1. Systematically sums up the risk transfer mechanisms of private sector catastrophe, and points out that private catastrophe market failure exits in both supply and demand sides. In the analysis of the reasons for the private catastrophe failure, the thesis discusses the ex post default in mutual principle under a dynamic framework by the repeat game model of Kocherlakota (1996) . Our results show that if the members are myopic, then the mutual firm may not be able to exit, and its probability of existence decreases with the lossest the members should pay after the catastrophe event. These results corresponds the economic reality in the catastrophe market.
The work points out the limitations of the research of the global diversification of catastrophes based on the law of large numbers. It then reanalyzes the cross section diversification of catastrophes under a frame work of stable distribution and majorization theory. The results find out the limitation of cross section diversification among independent catastrophe risks and partly explain why private insurance firms do not want to offer catastrophe coverage.
On the demand side, the thesis sums up the anomalies at the catastrophe demand side, and give the argument that psychological issues are key factors affecting the catastrophe insurance demand. It then shows a framework of behavioral economy, and sums up a target decisions process. It argues that such a decision making process can explain anomalies during catastrophe insurance demand to some extent.
2. Thesis analyzes the influence of different public interventions on the private catastrophe insurance market. Still under the framework of repeat game model in private section, it analyzes the role of public punishment in the existence of mutual principle, and the results show that public punishment can help to solve the default risk under mutual principle without affect the optimal risk allocation in the private catastrophe market.
The discussion of government subsidiary shows that there is no difference between premium subsidiary and management fees subsidiary. But when the subsidiary is a proportion of the premium, then the form of premium subsidiary takes advantage of the form of management fees.
It systematically sums up the compulsory insurance under the market with adverse selection. It gives the different equilibrium under adverse selection, and shows that the combination of compulsory insurance and private addition coverage can lead to the M&S Subsidiary equilibrium. Compulsory insurance is the effective way to solve the catastrophe insurance demand and without changing the Pareto risk allocation of private insurance sectors.
As for the government relief, the thesis expand the research of Kim & Schlesinger in 2005 by analyzing the effect of government relief on the market equilibrium with adverse selection considering the resources and costs of government funds, and found the basic principle of government relief which aims at helping those with low incomes.
3. In the research of the organization of integrated catastrophe risk management, the thesis arguments that risk sharing between public and private sectors is the key successful factor of the whole mechanism. The thesis follows the way of Michel-Kerjan (2006) , considers the optimal risk sharing in the integrated catastrophe risk management in an expected utility framework. The results show that the optimal decision depends on funding cost of the government. When the cost increases, the government can increase the premium or decrease the upper limit of the private sectors' risk transfer to force the private sector to share more risk.
After comparing various integrated catastrophe insurance pool in different countries, the thesis gives some advices to the organization of Chinese catastrophe insurance pool.
The main innovations of the thesis are as follows:
1. Systematic analysis of the reasons of private catastrophe market failure. Many articles have mentioned the private catastrophe market failure, but very few of them die the work of systematic and quantitative analysis of it's reasons. The third section of the thesis is the first to analyze the reasons of private catastrophe market from both supply and demand sides. On the supply side, the thesis discusses the ex post default and exit threats of the mutual principle using a repeated game model, and then analyzes the limitation of global diversification of catastrophe risks under a framework of stable distribution.
2. Sums up the effect of various public interventions on the catastrophe insurance e market. Almost all the articles in China are focusing on the efficiency comparison of government relief and the ex ante financing of catastrophe risks by catastrophe risk pool, but none of them have discussed the effects and efficiency of various public interventions using quantitative methods. The fourth section of the work firstly sums up the (dis) advantages of various public interventions, and then analyzes the effects and efficiency of those interventions. Continuing the repeated game model in the third section, it discusses the effect government punishment on the market equilibrium and risk sharing in the mutual principle. It then analyzes the efficiency of different financial subsidiaries as well as the effect of government relief on the catastrophe insurance market with adverse selection.
3. The analysis of optimal risk sharing between public and private sectors in the integrated catastrophe risk pool. As the key factor of integrated catastrophe risk pool is the reasonable risk sharing between government and private sectors, the fifth section of the thesis discusses above question in a model with game theory. The quantitative method is the most important improvement of this thesis in comparison with other articles in this area; the model especially focuses on the impact of information on the optimal risk allocation as well as the role of funding cost of the government.
引文
1引自新华网www.news.cn
2原数据为缅甸外长吴年温在东盟外长特别会议上的讲话,转引自云南日报网站:www.yndaily.com
3人员伤亡来自新浪网相关专題,www.sina.com。而在5月28日国新办就汶川地震灾害和抗震救灾情况举行的新闻发布会上,国家发改委副主任穆虹表示:“但是有一点可以肯定,由于这次灾害特别严重,损失特别巨大,预计造成的损失将成倍于年初雪灾造成的损失.” 此前根据非官方估计,地震损失约5252亿元,是雪灾的3.5倍。
5关于可保风险标准的论述在.Berliner(1982),Karten(2000),Courbage and Partrick(2003),Gollier (2005),以及Swiss Re,Sigma 4.(2005)等文献中有详细的论述.
8实际上,很多保险市场不发达国家采取的是灾后直接援助或财政补偿机制。这种机制由于其显而易见的缺点,正在逐渐被这些国家所放弃。典型的如中国的巨灾风险管理机制。具体的讨论可以参阅曾立新(2005),徐为山(2005),Cummins(2006),Jaffee等(2006).
11参见张庆洪(2004)
12这里涉及的是如何在群决策时由个体的效用函数构造总体效用函数的问题,在福利经济学中就是所谓的社会福利函数的构造问题。显然,在社会福利的构造中,不同的人群应该占有不同的权重是合理的(比如,穷人应该占据更多的权重),而最原始的个人效用的简单加总形式则可以看成加权的一个特例。感谢中德学院胡景北教授在这个问题上对作者的耐心指导和提出的启发性建议.
13关于效用函数的Von Neumann-Morgenstern公理,参见张庆洪(2004)
14实际上,这里还涉及到效用函数的拟加性和可乘性条件问题,(2.10)同时还假设了群中各成员之间的偏好强度有统一的度量。关于这些问题的详细论述参见岳超源(2003),这里不做进一步讨论。
16资料来源:Guy Carpenter(2007):线率(Rate on Line或ROL),是超赔再保险中的一种常用术语,即以限额的一定百分比来表示保险费率。如:限额为1百万而保费为20万,则ROL为20%。
17巨灾赔付数字援引自中国经济网:http://www.ce.cn/
18参阅Benfield(2007),Global Reinsurance market review-Pick'n'Mix,
19巨灾准备金在国内通常也成为总准备金.目前在我国为税后提取,因而归入所有者权益核算,其目的在于防止利润的过渡分配。目前由不少学者提出巨灾准备金的负债化处理.王静龙等(2004),朱南军(2005)均提出主张将巨灾准备金作为负债处理,提出巨灾风险虽然在难以在空间上进行分散,但可以在时间上进行分散;通过计提巨灾风险准备金,使巨灾发生时的巨额赔款支出对当期利润的影响在整个风险循环周期内得以分散与均衡,这样就可以在较长时间的跨度内使收益与成本更好地匹配,使会计信息使用者能够更好地评估保险公司的长期盈利能力.持反对意见者则认为巨灾风险准备金不符合国际会计准则财务会计概念结构中负债的定义,若作为负债进行处理则难以形成逻辑严密、一致的保险企业财务报表。徐为山(2005)综合了上述两种意见,提出由于巨灾损失的高度不可预计性,因此巨灾准备金在一定程度上已经超出了一般准备金的范畴,因此在本质上应视为资本;但在实践操作中,考虑到保险公司经营巨灾风险的积极性以及持有巨额巨灾准备金的高昂成本,应在一定程度上予以补偿;即应该在操作中作为负债处理。由于这不是本文讨论的重点,因此这里仅列出各文献中的不同观点,不作进一步的探讨。
20有关传统资本市场工具和巨灾风险风险转移可参阅徐为山(2005)。
25参阅Mahul& Wright(2003),Cummins(2006),Jaffee &Russell(2006)等文献
26本节有关违约和退出机制的研究得益于同济大学中德学院胡景北老师的启发和指导,作者在此向胡老师致以最真挚的感谢。
29参见朱书尚等(2004)
35很早就有学者发现了巨灾需求中的反常现象,这些想象无法通过经典的保险决策理论得到有效解释。有关这方面的研究在最近刚刚兴起,参见Kumeuther等(2004),(2006),Jaffee(2006),Cummins(2006)等文献。
36参见Gas(2005),转引自Klimaszcwski-Blettmer&Richter(2007)。
37EXTREMUS是德国的恐怖主义保险计划的名称,参见Nell &Richt(2004)。
38参见参见Grein,Kleio,Kleindorf&Murray(2001),Braun Muermann(2003),Kunreuther,Paulv &Russell(2004),Kunreuther&Pauly(2005),Krantz &Kumeuther(2006)等文献
39期望效用理论中,风险厌恶的投保人通过支付保费来将小概率大损失的风险事件转移。按照期望效用理论,这种类型的个体在定价完全相同的两种保单之间应该偏好于选择高免赔额的保单以获得损失顶端的保障而不是相反。(引自Howard Kunreuther,Mark V Pauly and Thomas Russell 2004)
40(参见Howard Kunreuther等(2004) 以及Consumers Union(1999))。
41参见Kunreuther,Pauly & Russell(2004),Kunteuther & Pauly(2005)以及Klimaszewski-Blettmer & Richter(2007)等文献。
42应该说,这只是一种初步的尝试,仅仅是将经典决策和行为金融的观点组合在一起,其框架并不成熟和严密.这种视角在很大程度上仍然属于经典的决策理论,但在某些方面借鉴丁行为金融和心理学方面的分析思路。
43有关这方面的详细论述请参见岳超源(2001),Krantz&Kunreuther(2006)等文献。
44表3.2只是简单化的转引自Krantz&Kunreuther(2006)目标转换.事实上,可以对目标进行进一步的细分,如目标“不后悔”可以进一步分为避免完全不后悔,轻度后悔,避免极度后悔等等。
45这种概率上的转换并不能总是保证完全精确,这有些类似于前景理论里的概率权重和累计前景理论。参见Tversky&Kahnemann 1992),转引自Krantz&Kunreuther(2006)。
46有关附加差异理论(Additive Difference Theory)请参阅Tversky(1969),转引自Kunreuther(2004),Krantz&Kunreuther(2006)等。
49Booth(1997),转引自徐为山(2005)。
50参见Robert.W.Klein(1998),国内方面参见周志刚(2005).权利(2007)等
51来源于Lewis(1998),转引自徐为山(2005).
52参见曾立新(2005),周志刚(2005)权利(2007)等。
53参见Lakdawalla&Zanjani(2005a,b),Michel,Kerian(2007)等。
54有关这场由政府干预和效率占优引发的学术争论,参阅Besley(1989)Selden(1993),Blomqvist&Johansson(1996),Selden(1997)等文献。
55"That being said,it is also important to bear in mind that there are many important arguments both for and against public intervention in health insurance markets."引自Selden(1997)。
56有关成本-效益分析的复杂程度及其缺陷,参阅Kobayasbi(2002)。
57参见Kobayashi(2000),Yokomatsu & Kobayashi(2000a,b),Kobayashi(2002)。
58尽管Kobayashi的研究中使用的社会福利函数是个人效用的简单加总,但仍然能在一定程度上说明问题,因为确定社会福利函数中不同人群的权重本身就是充满争议的话题。
63应该说,管理费补贴在一定程度上还有提高保险公司参与农业保险积极性的意图,但这里我们仅仅讨论两种补贴方式对需求方的影响。
64本节的分析直接引用了经典保险需求理论中的相关结论,参阅张庆洪(2004)。
65参阅:Pauly,M.(1974),Johnson(1977),(1978)。
66参阅Roschild&Stiglitz(1976),Wtlson(1977),Miyazaki(1977),Space(1978),张庆洪(2004)等文献
68参阅曾立新(2005)、周志刚(2005)、徐为山(2005)等。
74这种极端条件下的详细结论参阅Kim&Schlesinger(2005)。
75参阅张军(2002)《高级微观经济学》,德布鲁,(1988)《价值理论》中译本
76参见Cummins(2005),M.Kerjan(2006),徐为山(2005)等。
77参阅Gurenko & Lester(2004),World Bank Policy Research Working Paper 3278,Apr.2004
78参阅Gurenko & Lester(2004),World Bank Policy Research Working Paper 3278,Apr.2004
79参阅Gurenko & Lester(2004),World BankPolicy Research Working Paper 3278,Apr.2004
80有关混合巨灾风险管理计划实践层面的研究,参阅Ghesquiere &Mahul(2004),G-urenko&Lester (2004),Cummins(2005)Kunreuther &Pauly(2006)Kunreuther(2006)等文献。国内方面参阅曾立新(2005).周志刚(2005)等。
81来源:第二届中国风险管理论坛:雪灾与巨灾风险管理(2008年4月),世界银行Eugene N的发言。未找到直接文献,数据转引自和迅网:www.hexun.com相关专题。
82参阅:曾立新(2005),徐为山(2005).周志刚(2005),权利(2007)及其他相关论文或网站。
83关于挪威巨灾风险管理计划,引自中金在线:www.cnfol.com。
84参见周志刚(2005)
87参阅Cummins(2005),曾立新(2005)
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2原数据为缅甸外长吴年温在东盟外长特别会议上的讲话,转引自云南日报网站:www.yndaily.com
3人员伤亡来自新浪网相关专題,www.sina.com。而在5月28日国新办就汶川地震灾害和抗震救灾情况举行的新闻发布会上,国家发改委副主任穆虹表示:“但是有一点可以肯定,由于这次灾害特别严重,损失特别巨大,预计造成的损失将成倍于年初雪灾造成的损失.” 此前根据非官方估计,地震损失约5252亿元,是雪灾的3.5倍。
5关于可保风险标准的论述在.Berliner(1982),Karten(2000),Courbage and Partrick(2003),Gollier (2005),以及Swiss Re,Sigma 4.(2005)等文献中有详细的论述.
8实际上,很多保险市场不发达国家采取的是灾后直接援助或财政补偿机制。这种机制由于其显而易见的缺点,正在逐渐被这些国家所放弃。典型的如中国的巨灾风险管理机制。具体的讨论可以参阅曾立新(2005),徐为山(2005),Cummins(2006),Jaffee等(2006).
11参见张庆洪(2004)
12这里涉及的是如何在群决策时由个体的效用函数构造总体效用函数的问题,在福利经济学中就是所谓的社会福利函数的构造问题。显然,在社会福利的构造中,不同的人群应该占有不同的权重是合理的(比如,穷人应该占据更多的权重),而最原始的个人效用的简单加总形式则可以看成加权的一个特例。感谢中德学院胡景北教授在这个问题上对作者的耐心指导和提出的启发性建议.
13关于效用函数的Von Neumann-Morgenstern公理,参见张庆洪(2004)
14实际上,这里还涉及到效用函数的拟加性和可乘性条件问题,(2.10)同时还假设了群中各成员之间的偏好强度有统一的度量。关于这些问题的详细论述参见岳超源(2003),这里不做进一步讨论。
16资料来源:Guy Carpenter(2007):线率(Rate on Line或ROL),是超赔再保险中的一种常用术语,即以限额的一定百分比来表示保险费率。如:限额为1百万而保费为20万,则ROL为20%。
17巨灾赔付数字援引自中国经济网:http://www.ce.cn/
18参阅Benfield(2007),Global Reinsurance market review-Pick'n'Mix,
19巨灾准备金在国内通常也成为总准备金.目前在我国为税后提取,因而归入所有者权益核算,其目的在于防止利润的过渡分配。目前由不少学者提出巨灾准备金的负债化处理.王静龙等(2004),朱南军(2005)均提出主张将巨灾准备金作为负债处理,提出巨灾风险虽然在难以在空间上进行分散,但可以在时间上进行分散;通过计提巨灾风险准备金,使巨灾发生时的巨额赔款支出对当期利润的影响在整个风险循环周期内得以分散与均衡,这样就可以在较长时间的跨度内使收益与成本更好地匹配,使会计信息使用者能够更好地评估保险公司的长期盈利能力.持反对意见者则认为巨灾风险准备金不符合国际会计准则财务会计概念结构中负债的定义,若作为负债进行处理则难以形成逻辑严密、一致的保险企业财务报表。徐为山(2005)综合了上述两种意见,提出由于巨灾损失的高度不可预计性,因此巨灾准备金在一定程度上已经超出了一般准备金的范畴,因此在本质上应视为资本;但在实践操作中,考虑到保险公司经营巨灾风险的积极性以及持有巨额巨灾准备金的高昂成本,应在一定程度上予以补偿;即应该在操作中作为负债处理。由于这不是本文讨论的重点,因此这里仅列出各文献中的不同观点,不作进一步的探讨。
20有关传统资本市场工具和巨灾风险风险转移可参阅徐为山(2005)。
25参阅Mahul& Wright(2003),Cummins(2006),Jaffee &Russell(2006)等文献
26本节有关违约和退出机制的研究得益于同济大学中德学院胡景北老师的启发和指导,作者在此向胡老师致以最真挚的感谢。
29参见朱书尚等(2004)
35很早就有学者发现了巨灾需求中的反常现象,这些想象无法通过经典的保险决策理论得到有效解释。有关这方面的研究在最近刚刚兴起,参见Kumeuther等(2004),(2006),Jaffee(2006),Cummins(2006)等文献。
36参见Gas(2005),转引自Klimaszcwski-Blettmer&Richter(2007)。
37EXTREMUS是德国的恐怖主义保险计划的名称,参见Nell &Richt(2004)。
38参见参见Grein,Kleio,Kleindorf&Murray(2001),Braun Muermann(2003),Kunreuther,Paulv &Russell(2004),Kunreuther&Pauly(2005),Krantz &Kumeuther(2006)等文献
39期望效用理论中,风险厌恶的投保人通过支付保费来将小概率大损失的风险事件转移。按照期望效用理论,这种类型的个体在定价完全相同的两种保单之间应该偏好于选择高免赔额的保单以获得损失顶端的保障而不是相反。(引自Howard Kunreuther,Mark V Pauly and Thomas Russell 2004)
40(参见Howard Kunreuther等(2004) 以及Consumers Union(1999))。
41参见Kunreuther,Pauly & Russell(2004),Kunteuther & Pauly(2005)以及Klimaszewski-Blettmer & Richter(2007)等文献。
42应该说,这只是一种初步的尝试,仅仅是将经典决策和行为金融的观点组合在一起,其框架并不成熟和严密.这种视角在很大程度上仍然属于经典的决策理论,但在某些方面借鉴丁行为金融和心理学方面的分析思路。
43有关这方面的详细论述请参见岳超源(2001),Krantz&Kunreuther(2006)等文献。
44表3.2只是简单化的转引自Krantz&Kunreuther(2006)目标转换.事实上,可以对目标进行进一步的细分,如目标“不后悔”可以进一步分为避免完全不后悔,轻度后悔,避免极度后悔等等。
45这种概率上的转换并不能总是保证完全精确,这有些类似于前景理论里的概率权重和累计前景理论。参见Tversky&Kahnemann 1992),转引自Krantz&Kunreuther(2006)。
46有关附加差异理论(Additive Difference Theory)请参阅Tversky(1969),转引自Kunreuther(2004),Krantz&Kunreuther(2006)等。
49Booth(1997),转引自徐为山(2005)。
50参见Robert.W.Klein(1998),国内方面参见周志刚(2005).权利(2007)等
51来源于Lewis(1998),转引自徐为山(2005).
52参见曾立新(2005),周志刚(2005)权利(2007)等。
53参见Lakdawalla&Zanjani(2005a,b),Michel,Kerian(2007)等。
54有关这场由政府干预和效率占优引发的学术争论,参阅Besley(1989)Selden(1993),Blomqvist&Johansson(1996),Selden(1997)等文献。
55"That being said,it is also important to bear in mind that there are many important arguments both for and against public intervention in health insurance markets."引自Selden(1997)。
56有关成本-效益分析的复杂程度及其缺陷,参阅Kobayasbi(2002)。
57参见Kobayashi(2000),Yokomatsu & Kobayashi(2000a,b),Kobayashi(2002)。
58尽管Kobayashi的研究中使用的社会福利函数是个人效用的简单加总,但仍然能在一定程度上说明问题,因为确定社会福利函数中不同人群的权重本身就是充满争议的话题。
63应该说,管理费补贴在一定程度上还有提高保险公司参与农业保险积极性的意图,但这里我们仅仅讨论两种补贴方式对需求方的影响。
64本节的分析直接引用了经典保险需求理论中的相关结论,参阅张庆洪(2004)。
65参阅:Pauly,M.(1974),Johnson(1977),(1978)。
66参阅Roschild&Stiglitz(1976),Wtlson(1977),Miyazaki(1977),Space(1978),张庆洪(2004)等文献
68参阅曾立新(2005)、周志刚(2005)、徐为山(2005)等。
74这种极端条件下的详细结论参阅Kim&Schlesinger(2005)。
75参阅张军(2002)《高级微观经济学》,德布鲁,(1988)《价值理论》中译本
76参见Cummins(2005),M.Kerjan(2006),徐为山(2005)等。
77参阅Gurenko & Lester(2004),World Bank Policy Research Working Paper 3278,Apr.2004
78参阅Gurenko & Lester(2004),World Bank Policy Research Working Paper 3278,Apr.2004
79参阅Gurenko & Lester(2004),World BankPolicy Research Working Paper 3278,Apr.2004
80有关混合巨灾风险管理计划实践层面的研究,参阅Ghesquiere &Mahul(2004),G-urenko&Lester (2004),Cummins(2005)Kunreuther &Pauly(2006)Kunreuther(2006)等文献。国内方面参阅曾立新(2005).周志刚(2005)等。
81来源:第二届中国风险管理论坛:雪灾与巨灾风险管理(2008年4月),世界银行Eugene N的发言。未找到直接文献,数据转引自和迅网:www.hexun.com相关专题。
82参阅:曾立新(2005),徐为山(2005).周志刚(2005),权利(2007)及其他相关论文或网站。
83关于挪威巨灾风险管理计划,引自中金在线:www.cnfol.com。
84参见周志刚(2005)
87参阅Cummins(2005),曾立新(2005)
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